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eMu and european government bond market integration

Alonso Abad, Maria Pilar; Chuliá, Helena; Gómez-Puig, … - European Central Bank - 2009

The main objective of this paper is to study whether the introduction of the euro hadan impact on the degree of integration of European Government bond markets. Weadopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from thebeginning of Monetary Union until June 2008, the...

Persistent link: https://www.econbiz.de/10005866480

Does private equity investment spur innovation? Evidence from Europe

Popov, Alexander; Roosenboom, Peter - European Central Bank - 2009

We provide the first cross-country evidence of the effect of investment by privateequity firms on innovation, focusing on a sample of European countries and usingKortum and Lerner’s (2000) empirical methodology. Using an 18-country panelcovering the period 1991-2004, we study how private...

Persistent link: https://www.econbiz.de/10005866520

Measuring financial integration in the euro area

Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - European Central Bank - 2004

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...

Persistent link: https://www.econbiz.de/10005816123

The impact of the euro on money and bond markets

Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000

The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...

Persistent link: https://www.econbiz.de/10004969144

Hedge funds and their implications for financial stability

Garbaravicius, Tomas; Dierick, Frank - European Central Bank - 2005

The paper provides an overview of the hedge fund industry, mainly from a financial stability and European angle. It is primarily based on an extensive analysis of information from the TASS database. On the positive side of the financial stability assessment, hedge funds have a role as providers...

Persistent link: https://www.econbiz.de/10005530646

The Role of Short Rates and Foreign Long Rates in the Determination of Long-Term Interest Rates

Fell, J.P.C. - European Central Bank - 1996

This study examines the changing relationship between domestic long-term , domestic short-term and foreign long-term interest rates.

Persistent link: https://www.econbiz.de/10005641235

Getting beyond carry trade: what makes a safe haven currency?

Habib, Maurizio Michael; Stracca, Livio - European Central Bank - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10008794517

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - European Central Bank - 2014

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock … an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components …

Persistent link: https://www.econbiz.de/10011067211

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - European Central Bank - 2000

related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects … rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still … missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies …

Persistent link: https://www.econbiz.de/10005344911

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

Persistent link: https://www.econbiz.de/10009293721